i don't think there is anything explicit in correlating to the great depression.
i think though, the effects the great depression had on peoples attitudes in general and in science and technology effected huxley's view and therefore BNW.
*there was great interested in Eugenics. an idea that you could regulate the economy and population so there would be no poverty etc.
*the want for stability. totalitarianism, or any form of non-conservative government are popular in times of poverty... huxley satirises this want to the extreme.
i'm sorry, i answered your question quite badly. but you probably get what i mean? it's significance is in what effects it had on people's attitudes. i'm in frontline mode at the moment, i'd better start revising BNW, it's on wednesday! argh!